Proceedings of the Annual Conference of the Institute of Systems, Control and Information Engineers
The 50th Annual Conference of the Institute of Systems, Control and Information Engineers
Session ID : 6W2-2
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Host: The Institute of Systems, Control and Information Engineers

Optimization of Linear Observations for the Kalman Filter based on a Generalized Water Filling Theorem
Yoshiki Takeuchi, *Akihiro Hirata
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Keywords: Kalman filter, Water Filling Theorem, optimization of observations, Gaussian processes, mutual information
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Abstract
In this paper, we are concerned with optimization of the observations for the discrete-time Kalman filter. That is, we consider the problem of determining the observation gain matrix in such a way that the esimation error is minimized. Based on a generailzed Water Filling Theorem which was shown recently, we formulate and solve the problem as a local optimization in time.
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© 2006 The Institute of Systems, Control and Information Engineers
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